Struct GeometricBrownianMotion 

pub struct GeometricBrownianMotion {
    pub mu: f32,
    pub sigma: f32,
}

The Geometric Brownian motion process.

This is a stochastic process given by the following stochastic differential equation: $$ \textrm{d}x_t = \mu x_t \textrm{d} t + \sigma x_t \textrm{d} W_t $$ where $\theta$, $\mu$, and $\sigma$ are parameters of the process and $W_t$ is a standard Brownian motion.

Fields

mu: f32

$\mu$ is the (percentage) drift.

sigma: f32

$\sigma$ is the (percentage) volatility.

Implementations

impl GeometricBrownianMotion

pub fn new(mu: f32, sigma: f32) -> Self

Create a new Geometric Brownian Motion process.

Examples found in repository

examples/main.rs (line 4)

fn main() {
    let proc = GeometricBrownianMotion::new(1.0, 1.0);

    let sim = proc.run_euler_maruyama(1.0, 0.0, 1.0, 20);

    println!("{:#?}", sim.data);
}

examples/py.rs (line 7)

fn main() {
    let process = GeometricBrownianMotion::new(0.0, 1.0);
    let path = process.run_euler_maruyama(1.0, 0.0, 1.0, 10);

    #[cfg(feature = "py")]
    let _ = export_to_pickle(path, "/tmp/test.pickle");
}

Trait Implementations

impl AutonomousStochasticProcess for GeometricBrownianMotion

fn drift(&self, x: f32) -> f32

fn diffusion(&self, x: f32) -> f32

fn run_euler_maruyama( &self, x_0: f32, t_0: f32, t_n: f32, n: usize, ) -> SimulatedPath

impl StochasticProcess for GeometricBrownianMotion